Vanguard 500 Index Fund Investor Shares

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

Applying this definition to our asset in some examples:- The total return, or increase in value over 5 years of Vanguard 500 Index Fund is 76.9%, which is lower, thus worse compared to the benchmark SPY (77.1%) in the same period.
- Compared with SPY (51.7%) in the period of the last 3 years, the total return, or performance of 51.6% is lower, thus worse.

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (12.1%) in the period of the last 5 years, the annual return (CAGR) of 12.1% of Vanguard 500 Index Fund is higher, thus better.
- Looking at annual return (CAGR) in of 14.9% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (14.9%).

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

Using this definition on our asset we see for example:- The 30 days standard deviation over 5 years of Vanguard 500 Index Fund is 13.3%, which is higher, thus worse compared to the benchmark SPY (13.3%) in the same period.
- During the last 3 years, the 30 days standard deviation is 12.9%, which is lower, thus better than the value of 13% from the benchmark.

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'

Which means for our asset as example:- The downside risk over 5 years of Vanguard 500 Index Fund is 9.6%, which is higher, thus worse compared to the benchmark SPY (9.6%) in the same period.
- Compared with SPY (9.4%) in the period of the last 3 years, the downside risk of 9.4% is greater, thus worse.

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

Applying this definition to our asset in some examples:- The ratio of return and volatility (Sharpe) over 5 years of Vanguard 500 Index Fund is 0.72, which is higher, thus better compared to the benchmark SPY (0.72) in the same period.
- Looking at risk / return profile (Sharpe) in of 0.96 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.96).

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (1) in the period of the last 5 years, the excess return divided by the downside deviation of 1 of Vanguard 500 Index Fund is larger, thus better.
- During the last 3 years, the ratio of annual return and downside deviation is 1.32, which is greater, thus better than the value of 1.32 from the benchmark.

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

Which means for our asset as example:- The Downside risk index over 5 years of Vanguard 500 Index Fund is 4 , which is higher, thus worse compared to the benchmark SPY (3.97 ) in the same period.
- Looking at Ulcer Ratio in of 4.11 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (4.1 ).

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

Using this definition on our asset we see for example:- The maximum drop from peak to valley over 5 years of Vanguard 500 Index Fund is -19.4 days, which is lower, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
- During the last 3 years, the maximum drop from peak to valley is -19.4 days, which is lower, thus worse than the value of -19.3 days from the benchmark.

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Max Drawdown Duration is the worst (the maximum/longest) amount of time an investment has seen between peaks (equity highs). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

Using this definition on our asset we see for example:- The maximum days under water over 5 years of Vanguard 500 Index Fund is 188 days, which is higher, thus worse compared to the benchmark SPY (187 days) in the same period.
- Compared with SPY (139 days) in the period of the last 3 years, the maximum days under water of 139 days is higher, thus worse.

'The Average Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

Which means for our asset as example:- The average time in days below previous high water mark over 5 years of Vanguard 500 Index Fund is 42 days, which is higher, thus worse compared to the benchmark SPY (42 days) in the same period.
- Compared with SPY (37 days) in the period of the last 3 years, the average time in days below previous high water mark of 36 days is lower, thus better.

Historical returns have been extended using synthetic data.
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- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of Vanguard 500 Index Fund are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.